Via Buffi 13
c/o University of Geneve
40, Bd du Pont-d'Arve
1211 Geneva, CH-6900
Swiss Finance Institute at the University of Lugano
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Option pricing, GARCH model, state price density, Monte Carlo simulation
Option pricing, Stochastic volatility models, GARCH models, implied volatility, Monte Carlo methods
Sentiment, Pricing Kernel, Optimism, Overconfidence, Option Data
Electricity derivatives, risk-neutral valuation
barrier option, binomial tree, convergence rate, transition probability
gold futures market, convenience yield, gold lease rate, speculative pressure
systemic risk, marginal expected shortfall, pricing kernel, overconfidence, optimism
Asset Pricing, Cost of Capital, Implied Cost of Capital, Analysts' Forecasts, Discount Rate, Firm Valuation
Financial Institutions, Spectral Measure, Filtered Historical Simulation
hedging, corporate bonds, model errors
Multivariate GARCH models,Dynamic conditional correlations,Tree-structured GARCH models, Model confidence set approach
Pricing kernel, State price density per unit probability, Risk neutral, Historical distribution.
Pricing kernel, State price density per unit probability
Asset pricing models, panel
Volatility estimation, Filtered Historical Simulation, Value-at-Risk
risk propensity, net tangible value, default option, franchise value
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File name: eufm175.
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market risk, non parametric, filtered historical simulation
factor analysis, FGD, robust regression, term structure
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